R/annual-to-bey.R

In vathymut/indemnity: NHA MBS indemnity yield.

#' Convert the annual rate to the bond equivalent yield.
#' 
#' Links for more details is here: 
#' \url{http://www.cmhc-schl.gc.ca/en/hoficlincl/mobase/stteca/stteca_007.cfm}
#'
#' @param annual_rate Annual rate.
#' @param settlement_date Settlement date.
#' @param maturity_date Maturity date.
#'
#' @return bey Bond equivalent yield.
#'
#' @examples
#' settlement_date <- lubridate::ymd( "2015-01-30" )
#' maturity_date <- lubridate::ymd( "2015-01-30" )
#' annual_to_bey( annual_rate = 0.02, settlement_date, maturity_date )
#'
annual_to_bey <- function( annual_rate, settlement_date, maturity_date ){
  # Validate input
  stopifnot( lubridate::is.POSIXct( settlement_date ),
             lubridate::is.POSIXct( maturity_date ) )
  
  # Get number of days between settlement and maturity
  dates_interval <- lubridate::interval( settlement_date, maturity_date )
  t <- dates_interval / lubridate::ddays( 1 )
  
  # Group common terms
  factor_exp <- 182.5/t
  factor_rate <- t/36500
  
  # Get bond equivalent yield in percentage
  bey <- ( ( 1 + annual_rate * factor_rate )^factor_exp - 1 ) * 200
  return( bey )
}